Topics in Macroeconomics

这个项目旨在提高我们对贬值时期的理解。第一个项目研究了通货紧缩货币大幅贬值后的通胀行为。第二个项目调查与货币危机相关的银行危机的财政成本是如何由政府提供资金的。第三个项目描述了放弃固定汇率制度的最佳时机，以应对政府支出的增加，这使得联系汇率制度变得不可持续。第一个项目使用新的数据来了解不同商品的价格在大幅贬值后的表现。它使用分类的消费者价格指数(CPI)数据以及从一家私营供应商获得的新数据来审查各种事件，这些数据衡量了一组固定品牌在不同国家的价格。一些初步结果表明，在货币贬值后，有两种机制对塑造价格行为非常重要。首先是分销成本(运输、批发和零售)的存在，这些成本在不同国家的可贸易商品的零售价格之间形成了裂痕。第二种机制被描述为在消费中逃离质量。货币大幅贬值与相当大的经济衰退有关。与这些衰退相关的负收入效应促使代理商从进口商品转向劣质的本地替代品。这种替代可能会导致测量的通货膨胀率出现显著的下行倾向。原则上，CPI衡量的是购买固定捆绑商品的成本。但在实践中，在韩国和泰国等国，在经济衰退期间，进口商品的价格会被CPL中更便宜、更劣质的本地替代产品的价格所取代。这意味着CPI消费篮子的质量突然恶化，在衡量通货膨胀率时被忽视了。该项目记录了消费中的质量逃离在影响CPI通胀行为中所起的作用。第二个项目探讨了为双重危机的财政成本提供资金的不同战略对通货膨胀率和折旧率的影响。它使用了第一代类型的投机性攻击模型，该模型具有四个关键特征：(I)危机是由预期赤字引发的；(Ii)在危机之前发行了未偿还的非指数化政府债务；(Iii)政府的部分负债没有与通胀挂钩；(Iv)存在不可贸易商品和分配可贸易商品的成本，因此购买力平价不成立。该项目表明，该模型可以解释货币危机后经常观察到的高贬值和中等通货膨胀率。该模型以及详细的财政和货币数据被用来解释几个双重的银行/货币危机。到目前为止，对1997年的朝鲜危机和1994年的墨西哥危机已经取得了初步结果。第三个项目讨论了放弃固定汇率制度的最佳时机，以应对政府支出的增加，这使得联系汇率制度变得不可持续。初步工作考虑了基于优化的第一代投机性攻击模型的两个变体。在第一个变种中，放弃固定汇率会带来财政成本。这些成本可能代表着对银行业的纾困、税收收入的损失、公共债务再融资的困难等。第二个变种包括一项财政改革，使联系汇率保持可持续，并在汇率固定的情况下根据泊松过程来实现。在这两种情况下，研究表明，对于适度的政府支出冲击，当国际储备触及预先指定的下限时，最好放弃盯住美元的汇率制度。当政府支出冲击较大时，最好的做法是在冲击出现后立即放弃盯住美元。

This project seeks to improve our understanding of devaluation episodes. The first project studies the behavior of inflation in the aftermath of large contractionary devaluations. The second project investigates how the fiscal costs of banking crises that associated with currency crises are financed by the government. The third project characterizes the optimal time to abandon a fixed exchange rate regime in response to an increase in government spending that renders the peg unsustainable. The first project uses new data to understand how the prices of different goods behave in the aftermath of large devaluations. It examines a variety of episodes employing disaggregated Consumer Price Index (CPI) data together with new data obtained from a private provider that measures prices in different countries for a fixed set of brands. Some preliminary results suggest that there are two mechanisms important in shaping the behavior of prices in the aftermath of a devaluation. The first is the presence of distribution costs (transportation, wholesaling and retailing) that drive a wedge between the retail prices of tradable goods in different countries. The second mechanism is described as flight from quality in consumption. The large devaluations are associated with sizable recessions. The negative income effect associated with these recession induces agents to substitute away from imported good towards inferior local substitutes. This substitution can induce a significant downward bias in measured inflation rates. In principle the CPI measures the cost of purchasing a fixed bundle of goods. But in practice, in countries such as Korea and Thailand, the prices of imported goods are replaced in recessions by the prices of cheaper, inferior local alternatives in the CPl. This means that there is a sudden deterioration in the quality of the CPI consumption basket that is ignored in measuring the rate of inflation. The project documents the role played by flight from quality in consumption in influencing the behavior of CPI inflation. The second project explores the implications of different strategies for financing the fiscal costs of twin crises for inflation and depreciation rates. It uses a first-generation type model of speculative attacks which has four key features: (i) the crisis is triggered by prospective deficits; (ii) there exists outstanding non-indexed government debt issued prior to the crises; (iii) a portion of the government's liabilities are not indexed to inflation; and (iv) there are nontradable goods and costs of distributing tradable goods, so that purchasing power parity does not hold. The project shows that the model can account for the high rates of devaluation and moderate rates of inflation often observed in the wake of currency crises. The model and detailed fiscal and monetary data are used to interpret several twin banking/currency crises. Preliminary results have been obtained so far for the Korea 1997 and Mexico 1994 crises. The third project discusses the optimal time to abandon a fixed exchange rate regime in response to an increase in government spending that renders the peg unsustainable. The preliminary work considers two variants of an optimization-based first-generation speculative attack model. In the first variant there are fiscal costs of abandoning fixed exchange rates. These costs may represent a bailout of the banking sector, loss of tax revenues, difficulties in refinancing public debt, etc. The second variant incorporates a fiscal reform that makes the peg sustainable and that arrives according to a Poisson process while the exchange rate is fixed. In both cases it is shown that for moderate government expenditure shocks it is optimal to abandon the peg when international reserves hit a pre-specified lower bound. When the government expenditure shock is large it is optimal to abandon the peg as soon as the shock materializes.